本文選題：仿射期限結(jié)構(gòu)模型 + 卡爾曼濾波��； 參考：《哈爾濱工業(yè)大學(xué)》2013年碩士論文

【摘要】：2008年股市崩盤之后，中國投資者對證券市場投資提高了警覺，同時(shí)也在尋找其他的投資方向。而逐步發(fā)展的期貨市場以其雙向交易、T+0交易、保證金交易等先進(jìn)的交易制度吸引了大量的投資者。而且期貨市場促進(jìn)現(xiàn)有市場平穩(wěn)運(yùn)行，在宏觀方面有積極的作用，也受到了政府部門的重視。然而中國期貨市場起步較晚，在理論與模型方面比較薄弱，，與國外存在一定的差距，以至于投資者與政府缺少可以參考的依據(jù)，成為中國期貨市場發(fā)展的瓶頸。 本文首先分析了期貨理論，按照理論發(fā)展順序，討論了持有成本理論、正常交割延期費(fèi)理論和倉儲(chǔ)理論。在這些理論的基礎(chǔ)上，本文討論了影響因素及其相關(guān)假設(shè)，通過數(shù)學(xué)推導(dǎo)，建立了一個(gè)仿射期限結(jié)構(gòu)模型，并求得了與模型對應(yīng)的期貨定價(jià)公式。 本文選取滬銅期貨合約日結(jié)算價(jià)格為研究對象，所選取的數(shù)據(jù)來自上海期貨交易所，通過卡爾曼濾波方法和極大似然估計(jì)方法，應(yīng)用Eviews軟件對所選取的數(shù)據(jù)進(jìn)行實(shí)證。實(shí)證結(jié)果驗(yàn)證了即期價(jià)格對數(shù)服從均值回復(fù)過程更符合中國銅期貨市場。與國內(nèi)常用的三因素模型相比，實(shí)證結(jié)果表明本文所建立的模型具有較好的擬合能力，而且無論是預(yù)測值與實(shí)際值的擬合程度，還是日漲跌的判斷上，本文所建立的模型具有較強(qiáng)的預(yù)測能力，是適合中國商品市場的期貨價(jià)格期限結(jié)構(gòu)模型。同時(shí)本文也得出風(fēng)險(xiǎn)溢價(jià)因子是狀態(tài)變量的仿射函數(shù)符合實(shí)際情況的結(jié)論，這打破了國內(nèi)模型研究中對風(fēng)險(xiǎn)溢價(jià)為常數(shù)的一貫假設(shè)，對于國內(nèi)以后的研究具有一定的參考價(jià)值。無論是在理論方面還是現(xiàn)實(shí)方面均具有重要意義。
[Abstract]:After the 2008 stock market crash, Chinese investors were vigilant about investment in the stock market and were looking for other investment directions. The progressive futures market attracted a large number of investors with its advanced trading systems, such as two-way trading, T+0 trading, margin trading, and the futures market promoted the smooth operation of existing markets. However, the Chinese futures market is relatively weak in theory and model and has a certain gap with foreign countries, so that the investors and the government lack the basis for reference and become the bottleneck of the development of China's futures market.
This paper first analyzes the theory of futures and discusses the theory of holding cost, the theory of normal delivery delay and the theory of warehousing in accordance with the order of theoretical development. On the basis of these theories, the influence factors and their related assumptions are discussed. A model of imitation term structure is established by mathematical deduction, and the futures corresponding to the model are obtained. Pricing formula.
This paper selects the daily settlement price of Shanghai copper futures contract as the research object. The selected data comes from the Shanghai futures exchange. Through the Calman filtering method and the maximum likelihood estimation method, the selected data are tested by the Eviews software. The empirical results verify that the logarithm of the immediate price obeying the mean return process is more consistent with the Chinese copper period. Compared with the three factor model commonly used in China, the empirical results show that the model established in this paper has good fitting ability, and the model established in this paper has strong prediction ability, which is suitable for the futures price period of China's commodity market, whether it is the fitting degree of the predicted value and the actual value, or the judgment of the daily rise and fall. At the same time, this paper also concludes that the risk premium factor is the conclusion that the affine function of the state variable conforms to the actual situation, which breaks the consistent hypothesis that the risk premium is constant in the domestic model study, and has some reference value for the future research in China. Significance.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F724.5

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本文編號(hào)：2045095